All Z strategies are permanently live traded by us for comparing them with their theoretical performance. They are all still perfectly within their statistical boundaries. No real drawdown so far was even close to the theoretical maximum drawdown.

If this ever happened, it would indicate that this strategy is expired. It will then be removed or replaced.

Your calculations look good to me, well at least the 7.5% and 51% are good based on you $50k account. To actually put it into a calculator, type 3.24 x 7921 / 50000. But I know you know what you mean.

It puts a different perspective on it. When I turned down my margins I did it such that the total capital required for Z3, Z5 and Z12 would be about 80% of my account. If they all went bad at the same time to the greatest historical extent ( and I didn't stop it on the way) I would lose 80% of my account. At these margin settings, each system made about 200% to 250%. So with some blurring of my eyes I figured I could expect overall 200% return on my account balance. That was my thinking about a month ago.

@jcl. It will be nice for the community to have a look at this progress. Seeing as we are all in this together? I believe it will instill some motivation in us to continue reading and trying to come up with strategies.

@acidburn: I think you are on the right path. Your computation of returns should take into account the account balance you need to fit your risk appetite(drawdown).

I'd like to thank you both DMB and liftoff for confirming my calculations. It's very important that we have a same view, at least on this basic stuff. Obviously I was wrong for a long time. I even remember saying that Zorro can't be adapted to the standard FXCM demo account, and now suddenly the world is not flat and $50000 matches 100/20 setting pretty nicely. Though I also remember having opened questions at that time that never got answered, no wonder I was lost in the dark for such a long time.

Realization that 'Capital' is actually an estimation of the biggest expected drawdown as per the backtest now opens a whole lot of additional questions. DMB, your calculation with 80% looks mathematicaly OK. But, I wonder can we expect that backtest results will be matched in real trading. Have you ever heard that somebody designed, backtested and then run the system only to find that the results in the live trading were even better? Never happened.

What I want to say, and based on my numbers before. M/R 100/20, $50000 starting capital, we backtested and expect 51% annual profit and not more than about 16% drawdown. In reality (read: live trading) we should probably be very happy with 25% after 12 months of trading and if drawdown is not more than say 30%. Does that look reasonable? Reminding once again, with Margin 100 and $50000 of starting capital.

Translating to a more realistic situating but with real money and say $2000 account, to keep the numbers above and if the required capital scales about linearly with the Margin slider, it would mean setting Margin slider at about 4 (=100*2k/50k). Moving it already to just 5 would mean both increased expected profit but also risk of ruin. Am I wrong with any of this?

Finally, we concluded my Z12 demo has aspirations of earning about 50% in a year. As we're about half year through, that translates to about 22% expected in half a year. Versus -7.5% realized. What can we now conclude, is it bad, good, or just ugly (and we have to wait a lot longer to let it reveal it's potential)? After todays conversation, I'm inclined to once again believe that not enough time has passed (yesterday I believed that Z12 plain sucks).

How about another 6 months of Z12 demo, with the current parameters, and than deciding based on the following criteria:

Z12 ends with -> verdict
------------------------
-15% -> plain sucks
-7.5% -> not profitable anymore
~ 0% -> has potential, but not worth it really
+15% -> profitable strategy
+30% -> excellent strategy

Who agrees?

Don't know if i should agree. I'am taking the short track. Just watching my real account and thats it. I agree with JCL that at the moment everything is within the given parameters.

But you are right. In 6 month there must be a minimum plus...

But, you sure have your personal expectations both about your expected profit and drawdown. Would you care to share your numbers/settings? What performance would make you happy, and at what drawdown you would call it a day and cut the loss?

:-)
My personal expectation is 100% gain in 12 month.
I would run it till it has eaten my 5000€ I guess. But I must confess that I had a bad attitude as I got a 1000€ loss. :-)

Period: 240
Margin: 65
Risk: 10
Panic: 0

I have less trades then you have with your 50000€ demo but I can't set the margin slider any higher or the risk is to high. The manual stated that I need 5000€ for trading Z12 with 'full throttle' ...

OK, I have to admit you have an appetite for risk. You... adventurous soul!

It's also good that you trade only the money that you can afford to lose, because by my rough calculations above, the ruin is a quite probable event.

Although, now that the backtest with your input settings has finished, beside $4645 of required capital, I also see DD of $2868. As I can't readily distinguish between the two values without first digging in the manual, I think I might be once again missing something important.

I changed the Z12 settings now to:

Margin: 60
Risk: 20